| Metric | SPY | BLNDX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 74.99% | 45.56% |
| CAGR﹪ | 11.91% | 7.84% |
| Sharpe | 0.52 | 0.38 |
| Prob. Sharpe Ratio | 87.6% | 79.85% |
| Smart Sharpe | 0.5 | 0.37 |
| Sortino | 0.74 | 0.51 |
| Smart Sortino | 0.72 | 0.5 |
| Sortino/√2 | 0.53 | 0.36 |
| Smart Sortino/√2 | 0.51 | 0.36 |
| Omega | 1.14 | 1.13 |
| Max Drawdown | -24.5% | -17.66% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-07-17 |
| Max DD Period End | 2023-12-12 | 2025-12-24 |
| Longest DD Days | 708 | 526 |
| Volatility (ann.) | 17.19% | 11.48% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.44 |
| Skew | 0.33 | -0.82 |
| Kurtosis | 8.98 | 4.48 |
| Ulcer Performance Index | 8.86 | 8.84 |
| Risk-Adjusted Return | 11.91% | 8.17% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.83% | 0.6% |
| Avg. Loss | -0.88% | -0.65% |
| Win/Loss Ratio | 0.94 | 0.93 |
| Profit Ratio | 0.86 | 0.64 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.92% | 0.62% |
| Expected Yearly | 9.77% | 6.46% |
| Kelly Criterion | 3.81% | 6.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.16% |
| Expected Shortfall (cVaR) | -2.58% | -1.77% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.14 | 0.13 |
| Gain/Pain (1M) | 0.79 | 0.92 |
| Payoff Ratio | 0.94 | 0.93 |
| Profit Factor | 1.14 | 1.13 |
| Common Sense Ratio | 1.15 | 1.09 |
| CPC Index | 0.57 | 0.58 |
| Tail Ratio | 1.0 | 0.97 |
| Outlier Win Ratio | 3.4 | 3.3 |
| Outlier Loss Ratio | 3.8 | 3.24 |
| MTD | 1.47% | -1.83% |
| 3M | 1.46% | 1.78% |
| 6M | 6.94% | 0.76% |
| YTD | 13.33% | 15.96% |
| 1Y | 13.43% | 18.42% |
| 3Y (ann.) | 20.78% | 11.95% |
| 5Y (ann.) | 12.86% | 9.22% |
| 10Y (ann.) | 11.91% | 7.84% |
| All-time (ann.) | 11.91% | 7.84% |
| Best Day | 10.5% | 3.48% |
| Worst Day | -5.85% | -4.99% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -9.24% | -5.85% |
| Best Year | 26.18% | 15.96% |
| Worst Year | -18.18% | -2.85% |
| Avg. Drawdown | -1.94% | -2.03% |
| Avg. Drawdown Days | 21 | 35 |
| Recovery Factor | 2.58 | 2.31 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.43 | 0.45 |
| Avg. Up Month | 3.9% | 2.29% |
| Avg. Down Month | -3.45% | -2.42% |
| Win Days | 53.48% | 54.78% |
| Win Month | 62.3% | 62.3% |
| Win Quarter | 71.43% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.4 |
| Alpha | - | 0.03 |
| Correlation | - | 59.9% |
| Treynor Ratio | - | 113.84% |
| Year | SPY | BLNDX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -2.85 | -1.65 | - |
| 2022 | -18.18 | 3.71 | -0.20 | + |
| 2023 | 26.18 | 5.76 | 0.22 | - |
| 2024 | 24.89 | 13.15 | 0.53 | - |
| 2025 | 17.72 | 4.12 | 0.23 | - |
| 2026 | 13.33 | 15.96 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-12-24 | -17.66 | 526 |
| 2021-11-26 | 2022-03-03 | -8.49 | 98 |
| 2022-06-09 | 2023-09-13 | -7.55 | 462 |
| 2026-05-19 | 2026-09-22 | -7.24 | 127 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2022-04-20 | 2022-06-03 | -4.28 | 45 |
| 2026-10-13 | 2026-11-04 | -3.76 | 23 |
| 2022-03-09 | 2022-03-18 | -3.71 | 10 |
| 2023-09-15 | 2024-01-18 | -3.50 | 126 |
| 2024-03-28 | 2024-05-14 | -3.39 | 48 |